Analysis of the return linkages among international crude oil futures, Chinese stock market and US stock market based on VAR model

DOI

10.2991/978-94-6463-408-2_62How to use a DOI?

Keywords

Crude oil; Stock Market; VAR model; Return

Abstract

Crude oil, as a primary global energy resource, plays a pivotal role in influencing global financial landscapes, especially in major economies like China and the US. Despite extensive studies, a comprehensive analysis intertwining the three areas—crude oil prices, the Chinese stock market, and the US stock market—using the Vector Autoregression (VAR) model is lacking. This study bridges that gap, examining the interactions among international crude oil futures returns, the Shanghai Composite Index and the S&P 500 Index using 2,954 data sets from January 2011 to August 2023. Findings reveal a strong interconnection with crude oil futures significantly impacting both stock markets. Following disturbances, all markets revert to baseline states, with positive crude oil futures briefly boosting stock markets. However, stock market growth may precede a fall in crude oil futures. Although quantitative, the study's model may not fully align with real-world economic dynamics and carries potential overfitting risks due to its extensive lag order.

Copyright

© 2024 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Fangying Dong
PY  - 2024
DA  - 2024/05/07
TI  - Analysis of the return linkages among international crude oil futures, Chinese stock market and US stock market based on VAR model
BT  - Proceedings of the 9th International Conference on Financial Innovation and Economic Development (ICFIED 2024)
PB  - Atlantis Press
SP  - 549
EP  - 557
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-408-2_62
DO  - 10.2991/978-94-6463-408-2_62
ID  - Dong2024
ER  -